Over the course of the first 21 days of this month, the “Sell in May and go away” cliché looked like particularly bad advice. The S&P 500 was up 4.2% month-to-date and appeared to be headed higher indefinitely.

On day 22, however, stocks started to unravel, forcing traders to ask if the Sell-in-May axiom means we should simply head for the exit sometime before the beginning of June.

The only way to answer the question is by going back in time and looking for the point in time during the month of May that stocks typically rolled over, and what happened after that. So, here’s a quick look at the last 10 Mays (not to mentions Junes, Julys, Augusts, etc.) for the S&P 500.

As it turns out, the adage isn’t an exact science.

2003

Technically speaking, March 2003 was the beginning of the bull market following the implosion of numerous dot-com stocks, and the impact of the Sept. 11, 2001, terrorist attacks. The earliest part of bull markets are generally the strongest ones, so even though there were plenty of doubters at the time, raw bullishness never even gave the sellers a chance to sink their teeth into stocks until mid-June … and even then, the bulls quickly took over again.

2004

The summer of 2004 was amazingly volatile, but not necessarily a bearish one.

2005

Investors who sold in May 2005 missed out on an incredible rally, as the bull market was in full swing here. (Bear in mind this was when surging home prices started to make consumers feel artificially wealthy.) All told, the S&P 500 actually gained more than 6% between May and September of 2005.

2006

Although stocks fully recovered from the May/June pullback in 2006, it would have been wise to sell in May of this particular year.

2007

In July 2007, the mortgage loan crisis started to emerge, though nobody knew the full extent of it at that time. Regardless, May, June and early July were actually pretty bullish periods. And by the end of September, stocks had fully recovered what had been lost when the real estate and related CMO market scare first unfurled in July.

2008

Granted, the beginning of the bear market made it inevitable, but 2008 was the quintessential, prototypical “Sell in May and go away” scenario.

2009

Much like 2003, the beginning of the bull market in March of that year wasn’t about to let stocks slide significantly lower at any point in time between May and October.

2010

The summer of 2010 was nothing less than miserable for investors, rewarding those who sold in May, and punishing those who didn’t sell. Don’t forget, however, that the explosion of BP (BP) drilling rig Deepwater Horizon occurred in April of this year, and oil spewed into the Gulf of Mexico for weeks. The impact of the damage, however, was expected to linger for years, pulling the rug out from underneath the market. There’s no guarantee stocks would have lost so much ground had the oil spill not occurred.

2011

Though the bull market and economic expansion was technically still intact in 2011, the summertime of that year was a troubled one for stocks; “Sell in May and go away” would have been prudent advice. Of course, like 2010, there was a clear reason for the weakness in mid-2011… Europe’s sovereign debt crisis reared its ugly head.

2012

Last year, selling in May initially looked like a brilliant move — the bears dug in right out of the gate. As it turns out, though, the last day of May was also the last day of the pullback. The S&P 500 rallied more than 13% between late May and the end of September.

Bottom Line: While the long-term averages might imply that weakness, if not outright bearishness, is to be expected, we’ve seen during the past 10 years that the period between May and September can be quite bullish. The mood, external and environmental factors, and how the market was behaving leading up to the summertime seem to be far more important than the calendar does in terms of performance.

Just something to keep in mind in the shadow of the market’s recent turbulence.